PDE and Martingale Methods in Option Pricing

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Sprache: Englisch

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Beschreibung

This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background.
The first part contains a presentation of the arbitrage theory in discrete time.
In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling.
The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.

Über den Autor

Andrea Pascucci is Professor of Mathematics at the University of Bologna where he is director of a master program in Quantitative Finance. His research interests include second order parabolic partial differential equations and stochastic analysis with applications to finance (pricing of European, American and Asian options).

Zusammenfassung

Unified and detailed treatment of PDE and martingale methods in option pricing

Full treatment of arbitrage theory in discrete and continuous time

Self-contained introduction to advanced methods (Malliavin calculus, Levy processes, Fourier methods, etc)

Includes supplementary material: [...]

Details

Erscheinungsjahr:	2010
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	xvii 721 S.
ISBN-13:	9788847017801
ISBN-10:	8847017807
Sprache:	Englisch
Herstellernummer:	80015809
Einband:	Gebunden
Autor:	Pascucci, Andrea
Hersteller:	Springer Milan Springer Italia
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	241 x 160 x 44 mm
Von/Mit:	Andrea Pascucci
Erscheinungsdatum:	28.12.2010
Gewicht:	1,262 kg

Artikel-ID: 101071494